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Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk
16 references·1 citing·46 second hopsampled
Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk (2008)Imperfect Predictability and Mutual Fund …On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts (2011)On Market Timing and Investme…Predictive Systems: Living with Imperfect Predictors (2009)Predictive Systems: Living wi…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…Do mutual funds time the market? Evidence from portfolio holdings (2007)Do mutual funds time the mark…Variable Selection for Portfolio Choice (2001)Variable Selection for Portfo…Portfolio Selection and Asset Pricing Models (2000)Portfolio Selection and Asset…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…On the Predictability of Stock Returns: An Asset‐Allocation Perspective (1996)On the Predictability of Stoc…Measuring Fund Strategy and Performance in Changing Economic Conditions (1996)Measuring Fund Strategy and P…Good News, Bad News, Volatility, and Betas (1995)Good News, Bad News, Volatili…Portfolio Performance Evaluation: Old Issues and New Insights (1989)Portfolio Performance Evaluat…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Dividend yields and expected stock returns (1988)Dividend yields and expected …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…On Timing and Selectivity (1986)On Timing and SelectivityWage Bargaining Coordination and the Phillips Curve in Italy (2009)Wage Bargaining Coordination …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The arbitrage theory of capital asset pricing (1976)Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance, 1974-1988 (1993)Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds (1997)Risks and Portfolio Decisions Involving Hedge Funds (2003)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)International evidence on ethical mutual fund performance and investment style (2004)On the Industry Concentration of Actively Managed Equity Mutual Funds (2005)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Mutual Fund Performance (1966)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Mutual Fund Performance Evaluation: A Comparison of Benchmarks and Benchmark Comparisons (1987)Gain, Loss, and Asset Pricing (2000)Which Factors Matter to Investors? Evidence from Mutual Fund Flows (2016)The General Theory of Employment, Interest and Money. (1936)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)An Intertemporal Capital Asset Pricing Model (1973)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)The theory and practice of econometrics (1986)Asset Pricing at the Millennium (2000)Optimal Portfolio Choice with Parameter Uncertainty (2007)Manager sentiment and stock returns (2018)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Common risk factors in the returns on stocks and bonds (1993)Are Financial Assets Priced Locally or Globally? (2002)Stock return predictability and model uncertainty (2002)Predictive regressions with time-varying coefficients (2012)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)The Dog That Did Not Bark: A Defense of Return Predictability (2007)
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References

  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 1996Measuring Fund Strategy and Performance in Changing Economic Conditions1,759 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
  • 1996On the Predictability of Stock Returns: An Asset‐Allocation Perspective730 cited
  • 2000Portfolio Selection and Asset Pricing Models611 cited
  • 1989Portfolio Performance Evaluation: Old Issues and New Insights583 cited
  • 2011On Market Timing and Investment Performance Part I: An Equilibrium Theory of Value for Market Forecasts506 cited
  • 2001Variable Selection for Portfolio Choice409 cited
  • 1995Good News, Bad News, Volatility, and Betas406 cited
  • 2007Do mutual funds time the market? Evidence from portfolio holdings372 cited
  • 2009Predictive Systems: Living with Imperfect Predictors

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307 cited
  • 1986On Timing and Selectivity273 cited
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    • 2009Wage Bargaining Coordination and the Phillips Curve in Italy13 cited